TY - JOUR
T1 - Co-movements of sector index returns in the world's major stock markets in bull and bear markets
T2 - Portfolio diversification implications
AU - Meric, Ilhan
AU - Ratner, Mitchell
AU - Meric, Gulser
PY - 2008
Y1 - 2008
N2 - In this paper, principal components analysis and Granger causality tests are used to study the portfolio diversification implications of the co-movements of sector indexes in the US, UK, German, French, and Japanese stock markets in bull and bear markets. We find that, in a bull market, investors can obtain more benefit with global diversification than with domestic diversification even if they invest in the same sector in different countries as opposed to investing in different sectors within the same country. In a bear market, the sectors of different countries tend to be more closely correlated and country diversification opportunities are limited.
AB - In this paper, principal components analysis and Granger causality tests are used to study the portfolio diversification implications of the co-movements of sector indexes in the US, UK, German, French, and Japanese stock markets in bull and bear markets. We find that, in a bull market, investors can obtain more benefit with global diversification than with domestic diversification even if they invest in the same sector in different countries as opposed to investing in different sectors within the same country. In a bear market, the sectors of different countries tend to be more closely correlated and country diversification opportunities are limited.
UR - http://www.scopus.com/inward/record.url?scp=37349091185&partnerID=8YFLogxK
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U2 - 10.1016/j.irfa.2005.12.001
DO - 10.1016/j.irfa.2005.12.001
M3 - Article
AN - SCOPUS:37349091185
SN - 1057-5219
VL - 17
SP - 156
EP - 177
JO - International Review of Financial Analysis
JF - International Review of Financial Analysis
IS - 1
ER -